Field of Disclosed Subject Matter
The disclosed subject matter relates generally to trading systems configured to manage Market-On-Close (referred to herein as MOC) orders. The novel trading systems can be implemented on a plurality of exchanges and markets.
Description of Related Art
Traditional Market-On-Close (MOC) models allow traders to submit orders to be completed at or very close to the close time of the electronically traded instrument. For example, a trader can submit a MOC order prior to the end of the market day on a particular exchange.
Certain exchanges support native MOC orders. That is, for example, the trader can submit a MOC order directly to an exchange, and the exchange will execute the order as a market order, or in some cases, a limit order as close to the end of the market day as possible.
Certain exchanges do not support native MOC orders. However, MOC models exist that allow a trader to place an order such that it is executed with the use of an algorithm designed to determine and place one or more orders with the exchange very close to the end of the market day. In these scenarios, the algorithms typically run on computing platforms co-located with the exchange. These computing platforms are typically controlled by an entity to which a trader subscribes, whereby the trader can communicate with the computing platform via a network. One of skill in the art will appreciate, however, that a variety of other arrangements are suitable, such as communicating orders to a broker that executes the orders accordingly.
Traditional MOC models can be suitable in connection with instruments for which marking-to-market (settlement) is performed at the end of the trading day. For example, in connection with the trading of futures, an exchange or clearing house can determine the settlement price of an asset covered by futures contracts at the end of the trading day, such that the gains and losses on the futures contract can be reflected in the accounts of the parties involved.
For certain instruments, such as some futures instruments, however, the official end of day mark to market (settlement price) can be determined before the end of trading day during the settlement period. Moreover, exchanges can specify different rules that apply to settlement calculation for individual instruments (or group of products). In these instances, traders may desire to submit specific orders with product specific parameters to be executed around the settlement period. For example, a trader may desire to complete an order at or better than settlement price or another predetermined benchmark. Traditional MOC models, however, can fail to account for exchange specified instrument level parameters or instrument specific rules. Thus, manual intervention by the trader trading across one or more exchanges can be labor intensive and costly.
Accordingly, there is a need for improved techniques for management of MOC orders according to settlement rules for financial instruments in the technological field of electronic trading.